Well, that gets into the whole time paradox loop-de-loop chicken-and-egg thing. No matter which way they went with it - kill Kyle or not - you end up with either a plot hole or a continuity hole.
If they kill him, then not only do we not have this film, but the other three films now become non-existent as well.
I guess the only way it could work is if Skynet kills Kyle, at which point the film just abruptly ends and the theater lights come up. ;-)